Blar i Norges Banks vitenarkiv på emneord "Bayesian VAR"

Viser treff 1-2 av 2

    • Has the Fed Responded to House and Stock Prices? : a Time-Varying Analysis 

      Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca (Working Papers;1/2017, Working paper, 2017)
      In this paper we use a structural VAR model with time-varying parameters and stochastic volatility to investigate whether the Federal Reserve has responded systematically to asset prices and whether this response has changed ...

    • Have Standard VARs Remained Stable Since the Crisis? 

      Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano (Working Papers;13/2014, Working paper, 2014)
      Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, ...